Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0526 |
| Annualized Std Dev | 0.2951 |
| Annualized Sharpe (Rf=0%) | 0.1783 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2933.0000 |
| NAs | 1.0000 |
| Minimum | -0.1427 |
| Quartile 1 | -0.0078 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0091 |
| Maximum | 0.0894 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0186 |
| Skewness | -0.6615 |
| Kurtosis | 6.4070 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0137 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0180 |
| Downside Deviation (Rf=0%) | 0.0135 |
| Downside Deviation (0%) | 0.0135 |
| Maximum Drawdown | 0.7585 |
| Historical VaR (95%) | -0.0282 |
| Historical ES (95%) | -0.0455 |
| Modified VaR (95%) | -0.0311 |
| Modified ES (95%) | -0.0634 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-29 | 2020-03-18 | NA | -0.7585 | 2490 | 2236 | NA |
| 2009-12-03 | 2010-02-08 | 2010-05-11 | -0.2185 | 109 | 45 | 64 |
| 2011-01-03 | 2011-01-25 | 2011-02-17 | -0.1302 | 33 | 16 | 17 |
| 2010-05-13 | 2010-06-04 | 2010-09-02 | -0.1092 | 79 | 16 | 63 |
| 2009-10-15 | 2009-10-28 | 2009-11-16 | -0.0968 | 23 | 10 | 13 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 3.3 | 0.7 | -1.9 | -1.9 | 3.5 | 0.2 | 3.8 |
| 2010 | 3 | -0.2 | 2.2 | 0.8 | -0.1 | -4.4 | 2.2 | 0.3 | 1.6 | -0.4 | 1.4 | 1.4 | 8.1 |
| 2011 | 1.8 | 2.3 | 0.2 | -0.9 | -4.9 | -2.5 | -1.4 | 0.2 | -3.4 | -3.2 | -0.3 | -0.4 | -12 |
| 2012 | 1.5 | 2.7 | 0.1 | -0.3 | 2.5 | 3.9 | -2.1 | 4.6 | 0.6 | -0.1 | -2.4 | 1 | 12.3 |
| 2013 | 1.1 | 0.2 | -1.2 | -2.6 | -2.4 | -0.1 | -1 | -1.8 | -2.3 | -0.1 | 1.5 | -0.8 | -9 |
| 2014 | 0 | -0.8 | 0.1 | -0.7 | -1.2 | -0.3 | -0.7 | -0.5 | 0.9 | -2 | 6.3 | -3.8 | -3 |
| 2015 | 1.7 | 0.2 | 1.9 | 0.5 | 0.2 | -0.7 | -0.2 | -0.2 | 0.1 | -0.4 | 0.7 | -0.2 | 3.4 |
| 2016 | 0.4 | -0.3 | -2.4 | 1.3 | 0 | 4.8 | 0.4 | 1.2 | 0.5 | 2.6 | 0.1 | -1.3 | 7.3 |
| 2017 | -0.2 | 0.4 | 0.5 | -1.9 | -0.1 | -0.1 | -0.8 | 0.5 | -1.1 | 2.5 | 0.1 | 0.7 | 0.3 |
| 2018 | -0.6 | 0.6 | 0.4 | -1 | -0.2 | 0.5 | -0.9 | -0.4 | -0.8 | 3.1 | -0.9 | 0.7 | 0.5 |
| 2019 | -0.8 | -2.9 | -0.1 | -1.9 | 0.3 | -1.2 | 0.8 | 0.6 | 1.3 | -0.1 | 0.4 | -0.2 | -3.9 |
| 2020 | 0.9 | -5.9 | -0.1 | 0.1 | 2.5 | -1.1 | 4.1 | -0.3 | 2 | 1.3 | 6 | -0.7 | 8.7 |
| 2021 | 7.2 | -0.2 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-07-24 13.9 SPY 98.1 0.0041 0.0418 0.0881 0.132 -0.219 -0.223 -0.1 GLD 93.4 0.0016 1.61e-2
2 2009-07-27 14.1 SPY 98.4 0.003 0.0338 0.0681 0.146 -0.216 -0.224 -0.0956 GLD 93.7 0.0032 4.60e-3
3 2009-07-28 13.8 SPY 97.9 -0.0047 0.0243 0.0659 0.144 -0.208 -0.228 -0.108 GLD 92.1 -0.0171 -1.10e-2
4 2009-07-29 13.3 SPY 97.7 -0.00240 0.022 0.0534 0.117 -0.227 -0.229 -0.113 GLD 91.2 -0.0099 -2.40e-2
5 2009-07-30 13.5 SPY 98.7 0.0104 0.0103 0.0731 0.129 -0.232 -0.229 -0.108 GLD 91.6 0.0046 -1.76e-2
6 2009-07-31 14.0 SPY 98.8 0.0014 0.0076 0.0702 0.124 -0.221 -0.227 -0.108 GLD 93.4 0.0189 -6.00e-4
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
